First make the mascarpone cream. In a bowl, whisk the egg yolks with the sugar until pale and mousse-like. Fold in the mascarpone, a tablespoon at a time, then whisk briefly. Mix in the lemon juice.
Whisk the egg whites in a large, clean glass bowl until stiff peaks form. Gradually fold them into the mascarpone cream. Add a little more sugar or lemon juice, or both, if needed.
Set aside three or four marrons glacés for decoration. Chop the rest and mix them into the mascarpone cream.
Cut the Madeleines in half horizontally. Mix the rum with the milk and soak the Madeleines in the mixture. Lay six Madeleine halves in a rectangular dish, cover with half the mascarpone cream and then with the remaining six Madeleine halves. Spread the rest of the mascarpone cream over the top and decorate with the whole marrons glacés. Cover and chill for about six hours before serving.